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A Cape Cod model for the exponential dispersion family

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  • Taylor, Greg

Abstract

The defining feature of the Cape Cod algorithm in current literature is its assumption of a constant loss ratio over accident periods. This is a highly simplifying assumption relative to the chain ladder model which, in effect, allows loss ratio to vary freely over accident period.

Suggested Citation

  • Taylor, Greg, 2019. "A Cape Cod model for the exponential dispersion family," Insurance: Mathematics and Economics, Elsevier, vol. 85(C), pages 126-137.
    • Handle: RePEc:eee:insuma:v:85:y:2019:i:c:p:126-137
    DOI: 10.1016/j.insmatheco.2018.11.008
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    References listed on IDEAS

    as
    1. Saluz, Annina, 2015. "Prediction uncertainties in the Cape Cod reserving method," Annals of Actuarial Science, Cambridge University Press, vol. 9(2), pages 239-263, September.
    2. Peters, Gareth W. & Shevchenko, Pavel V. & Wüthrich, Mario V., 2009. "Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models," ASTIN Bulletin, Cambridge University Press, vol. 39(1), pages 1-33, May.
    3. Taylor, Greg, 2015. "Bayesian Chain Ladder Models," ASTIN Bulletin, Cambridge University Press, vol. 45(1), pages 75-99, January.
    4. Smyth, Gordon K. & Jørgensen, Bent, 2002. "Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling," ASTIN Bulletin, Cambridge University Press, vol. 32(1), pages 143-157, May.
    5. Mack, Thomas, 1993. "Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates," ASTIN Bulletin, Cambridge University Press, vol. 23(2), pages 213-225, November.
    6. Taylor, Greg, 2011. "Maximum Likelihood and Estimation Efficiency of the Chain Ladder," ASTIN Bulletin, Cambridge University Press, vol. 41(1), pages 131-155, May.
    7. England, P.D. & Verrall, R.J., 2002. "Stochastic Claims Reserving in General Insurance," British Actuarial Journal, Cambridge University Press, vol. 8(3), pages 443-518, August.
    8. Gareth W. Peters & Pavel V. Shevchenko & Mario V. Wuthrich, 2009. "Model uncertainty in claims reserving within Tweedie's compound Poisson models," Papers 0904.1483, arXiv.org.
    Full references (including those not matched with items on IDEAS)

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